The financial industry is one of the most important contributors for a society. For example the financial sector makes it possible for companies to obtain investment money, to secure themselves from different kinds of risk and so forth. A strong financial sector is essential for trade and industry and economical development. In the past ten to twenty years the financial technology has had a very rapid development due to the technological advances in computing technology, transaction technology and information technology. This rapid development has resulted in that more companies and people are connected to these systems. The increase of participants being connected to electronic exchange systems have increased the amount of data messages sent into the system. Furthermore the development of algorithmic trading have even further increased the amount of data messages being sent into the electronic exchange systems.
These electronic exchanges receive data messages from external devices used by traders that sends in orders and/or quotes to the exchange. The orders may relate to buying and/or selling of any type of financial instrument.
The term “financial instruments” is in the present application used in a broad sense and encompasses any tradable item i.e. securities, derivative or commodity, such as stocks, bonds, cash, swaps, futures, foreign exchange, options, gas electricity and so forth, or group of items that is traded through matching of counterparty orders (bid, offer). An order normally includes a price and a volume of the item(s) or combination of items. The price and the volume can be viewed as order prerequisites that have to be met in order for a match (deal) to take place.
Thus, the massive amount of data messages sent in to the exchanges has put a lot of pressure on the computer system that needs to handle all the messages. For example, the systems and software for the exchanges needs to maintain an orderbook wherein all orders/quotes are stored. Furthermore the system and software must maintain a BBO (Best Bid and Offer) which is calculated as the highest bid price, and the lowest offer price. The BBO is published to market participants, and the marketplace system uses the BBO to evaluate whether quotes and orders can be matched.
In the exchange systems known today the management of the orderbook and the BBO calculation is centralized. The marketplace system maintains bid quotes and bid orders in an orderbook sorted by their price in descending order. The best bid price is calculated from the price of the first entry in this orderbook. The system also maintains an orderbook of offer quotes and offer orders in an orderbook sorted by price in ascending order. The best offer price is calculated from the price of the first entry in this orderbook.
As mentioned before a problem with the known electronic exchange systems is that they have a hard time to keep up with the massive amount of messages and thus constitutes a bottleneck which puts a limitation on the performance of the system. Thus, a problem with prior art systems is that they have a low trough put. Another problem with the prior art systems is that they have high latency.
Hence there is a need of an improved electronic exchange system that allows higher through put of messages and lower latency.